XLU Options History — January 2008

In January 2008, XLU traded between $19.09 and $21.86. ATM implied volatility averaged 23.6%, placing in the 68.4% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 3.4% (HV 20d: 20.3%). Max pain ranged from $21.50 to $22.50. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 2.47.

Notable Days

2008-01-17: Highest Volume — 36,196 contracts
2008-01-10: Largest IV spike — 20.1% change
2008-01-23: Highest IV Rank — 92.3%
2008-01-23: Largest Expected Move — 8.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$20.56	$19.09	$21.86	$21.05	$19.61
Max Pain	$21.90	$21.50	$22.50	$21.50	$21.50
ATM IV	23.6%	18.1%	30.0%	19.3%	24.4%
Expected Move	6.9%	5.4%	8.6%	5.5%	7.0%
HV 20d	20.3%	13.5%	27.9%	16.9%	27.9%
HV 60d	19.0%	17.1%	21.6%	17.2%	21.2%
IV Rank	68.4%	47.7%	92.3%	52.1%	71.3%
IV Percentile	79.8%	46.8%	99.2%	61.8%	84.1%
Term Structure	1.0%	-1.6%	14.2%	1.6%	-0.0%
VWIV	22.9%	14.9%	31.2%	14.9%	23.0%
Skew 25d	4.4%	0.1%	8.4%	2.2%	5.4%
Skew 10d	7.9%	-9.6%	16.6%	2.7%	5.4%
Call IV 25d	21.7%	17.2%	27.5%	18.6%	20.0%
Put IV 25d	26.1%	20.7%	35.9%	20.8%	25.4%
Bid-Ask Spread %	36.37	16.63	89.13	16.63	42.66
Gamma HHI	0.25	0.14	0.55	0.28	0.20
Net GEX	-1.5M	-11.4M	2.4M	325.7K	-1.3M
Net DEX	12.4M	-88.0M	127.0M	-4.2M	54.9M
Net VEX	-430.7K	-488.9K	-370.0K	-445.3K	-375.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.47	0.07	13.91	7.63	1.28
Total Volume	9,657.714	1,376	36,196	22,736	3,604
Total OI	251,138.667	121,682	361,034	301,600	132,384

Daily Data (21 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2008-01-02	$21.05	$21.50	19.3%	5.5%	16.9%	52.1%	14.9%	2.2%	1.6%	325.7K	-4.2M	-445.3K	7.63	16.63	2,634	20,102	83,268	218,332
2008-01-03	$21.02	$21.50	18.8%	5.4%	16.6%	50.0%	15.0%	2.3%	0.8%	-873.3K	-6.3M	-464.5K	1.27	17.75	606	770	83,648	226,476
2008-01-04	$21.18	$21.50	19.0%	6.0%	15.4%	51.0%	19.8%	3.8%	0.4%	103.5K	-14.5M	-450.0K	0.20	33.86	6,080	1,240	84,140	222,284
2008-01-07	$21.61	$21.50	19.2%	5.8%	17.3%	51.8%	19.3%	4.8%	1.1%	-880.3K	-61.1M	-433.4K	0.22	29.50	2,520	548	85,150	222,818
2008-01-08	$21.62	$21.50	19.9%	6.2%	17.2%	54.4%	21.5%	3.1%	0.6%	-561.6K	-58.6M	-439.3K	0.12	40.16	12,326	1,480	86,454	223,084
2008-01-09	$21.86	$21.50	18.1%	6.1%	17.6%	47.7%	19.6%	5.3%	1.1%	-667.1K	-88.0M	-465.1K	2.91	34.16	3,372	9,800	94,196	224,060
2008-01-10	$21.72	$22.50	21.8%	6.2%	15.6%	61.5%	20.0%	5.5%	1.5%	-1.9M	-69.3M	-488.9K	1.56	44.00	2,092	3,274	94,796	231,936
2008-01-11	$21.71	$22.50	23.4%	6.7%	15.6%	67.7%	23.1%	6.5%	-0.9%	-1.8M	-57.9M	-486.3K	1.29	39.25	2,204	2,834	95,280	233,898
2008-01-14	$21.75	$22.50	23.0%	6.6%	14.6%	66.0%	22.6%	4.2%	-0.4%	-2.6M	-63.7M	-454.5K	2.02	38.20	1,236	2,502	96,482	235,818
2008-01-15	$21.52	$22.50	21.1%	6.0%	13.5%	58.8%	21.0%	2.6%	0.9%	-1.2M	-37.5M	-464.0K	13.91	31.06	696	9,682	96,736	237,548
2008-01-16	$21.13	$22.50	24.1%	6.9%	14.6%	70.3%	22.7%	3.9%	-1.6%	2.4M	13.5M	-449.6K	8.96	34.32	1,926	17,266	96,626	242,564
2008-01-17	$20.32	$22.50	25.8%	7.4%	19.6%	76.6%	24.7%	4.0%	-0.5%	-4.0M	104.0M	-427.6K	2.42	28.72	10,598	25,598	97,258	253,748
2008-01-18	$20.02	$22.50	23.9%	6.8%	20.1%	69.4%	23.6%	0.1%	1.1%	-11.4M	127.0M	-437.2K	0.87	33.86	6,874	5,962	101,320	259,714
2008-01-22	$19.32	$22.50	28.2%	8.1%	22.7%	85.6%	24.6%	4.5%	-0.6%	-872.6K	64.0M	-375.1K	4.46	35.40	2,334	10,402	54,476	67,206
2008-01-23	$19.84	$22.00	30.0%	8.6%	25.4%	92.3%	31.2%	8.4%	14.2%	-1.6M	34.8M	-447.4K	0.36	89.13	2,646	950	55,074	72,242
2008-01-24	$19.30	$21.50	27.2%	7.8%	26.5%	82.0%	28.2%	4.0%	0.2%	-1.3M	60.9M	-395.9K	1.62	26.71	3,538	5,748	56,710	72,448
2008-01-25	$19.09	$21.50	28.8%	8.2%	26.5%	87.9%	28.2%	5.3%	0.2%	-1.1M	70.3M	-390.1K	0.23	34.09	2,026	470	58,984	76,328
2008-01-28	$19.39	$21.50	28.1%	8.1%	27.6%	85.4%	27.7%	6.1%	-1.0%	-1.1M	65.3M	-395.7K	0.15	35.55	2,592	380	59,244	74,604
2008-01-29	$19.45	$21.50	26.8%	7.7%	27.4%	80.3%	25.6%	4.0%	1.1%	-910.2K	62.1M	-388.6K	0.07	32.37	10,596	728	60,660	73,510
2008-01-30	$19.36	$21.50	25.1%	7.2%	27.2%	74.2%	24.0%	5.8%	0.2%	-831.0K	64.6M	-370.0K	0.23	46.46	2,100	476	58,606	73,802
2008-01-31	$19.61	$21.50	24.4%	7.0%	27.9%	71.3%	23.0%	5.4%	-0.0%	-1.3M	54.9M	-375.6K	1.28	42.66	1,580	2,024	58,478	73,906